Mark,
Out of interest: You mention -xtoverid- (http://fmwww.bc.edu/RePEc/bocode/x)
below, which relates to instrumental variable two-stage LS regressions.
How does that fit together with the Hausman test for a "simple" -xtreg- ?
- Tom
-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Schaffer, Mark
E
Gesendet: Donnerstag, 18. Januar 2007 18:44
An: [email protected]
Betreff: st: RE: AW: RE: Panel re vs. fe model
Thomas,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Thomas Erdmann
> Sent: Thursday, January 18, 2007 5:28 PM
> To: [email protected]
> Subject: st: AW: RE: Panel re vs. fe model
>
> Mark,
>
> Thanks for the fast reply. As you point out my goal is to
> decide whether the fixed or random effects model is appropriate.
>
> As the model indicates that both firm and time effects are
> present I use -xtreg, cluster()- (i.e. -cluster(id)- for the
> firm effect) with addtitional time dummies. In this context I
> encountered the discussion about the appropriateness of the
> Hausman test.
>
> That said, just to rephrase: implementing an artifical
> regression as below gives me a more robust Hausman test that
> works in the described setting?
Yes indeed.
> I was just wondering if I get too complicated or overlook
> something, because an official Stata command seems to be
> missing (other than -xttest0- for random effects) and I
> assume that the setting described is not so uncommon?
In fact, this comes up often enough for me to think that we should add it to
xtoverid.
--Mark
> - Tom
>
>
>
> -----Urspr�ngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von
> Schaffer, Mark E
> Gesendet: Donnerstag, 18. Januar 2007 17:41
> An: [email protected]
> Betreff: st: RE: Panel re vs. fe model
>
> Thomas,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Thomas
> > Erdmann
> > Sent: Thursday, January 18, 2007 3:21 PM
> > To: [email protected]
> > Subject: st: Panel re vs. fe model
> >
> > Hi -
> >
> > The drawbacks of Hausman test regarding its asymptotic
> assumptions or
> > in a cluster setting are discussed at several points in the
> Statalist.
> >
> > e.g. http://www.stata.com/statalist/archive/2005-08/msg00741.html
> > or several others by e.g. searching for "fe re cluster
> Hausman" in the
> > archives.
> >
> > My conclusion would be that using -suest- would be a good
> alternative
> > but is not possible because -xtreg, fe- does not produce scores. I
> > found another alternative described here,
> > http://www.stata.com/statalist/archive/2005-08/msg00853.html
> > where Vince Wiggins suggests using an artificial regression (find
> > below).
> >
> > Two questions:
> >
> > (1) Regarding the code below, could you just add the
> > -cluster()- option as further option and would the artificial
> > regression still make sense?
>
> Yes.
>
> > (2) Are there yet other alternatives to the Hausman test in this
> > setting?
>
> The difference between the FE and RE specification is that
> the latter uses more orthogonality conditions, and the
> Hausman test in this context is just a GMM test of these
> extra orthogonality conditions. If you want to test
> something else, then I suppose you would use an alternative
> test, but I'm not sure what the something else would be.
>
> Cheers,
> Mark
>
> > Thanks for your feedback,
> > Tom
> >
> >
> > ---------------------------------- BEGIN --- artreg.do --- CUT HERE
> > ------- local id idcode local depvar ln_wage local varlist ttl_exp
> > union white
> >
> > iis `id'
> > xtreg `depvar' `varlist' , re
> >
> > local i 0
> > foreach var of varlist `varlist' {
> > egen mymean`++i' = mean(`var') if e(sample), by(`id') }
> >
> > xtreg `depvar' `varlist' mymean1-mymean`i' , re
> >
> > testparm mymean1-mymean`i'
> > ---------------------------------- END --- artreg.do ---
> > CUT HERE -------
> >
> > *
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> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
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